Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0085
Annualized Std Dev 0.1706
Annualized Sharpe (Rf=0%) -0.0499

Row

Daily Return Statistics

Close
Observations 5573.0000
NAs 1.0000
Minimum -0.1116
Quartile 1 -0.0042
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0042
Maximum 0.1329
SE Mean 0.0001
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0107
Skewness 0.2571
Kurtosis 24.0696

Downside Risk

Close
Semi Deviation 0.0075
Gain Deviation 0.0088
Loss Deviation 0.0087
Downside Deviation (MAR=210%) 0.0125
Downside Deviation (Rf=0%) 0.0075
Downside Deviation (0%) 0.0075
Maximum Drawdown 0.4978
Historical VaR (95%) -0.0147
Historical ES (95%) -0.0244
Modified VaR (95%) -0.0116
Modified ES (95%) -0.0116
From Trough To Depth Length To Trough Recovery
2003-06-17 2008-10-10 2010-10-07 -0.4978 1840 1340 500
2010-10-14 2020-03-23 NA -0.4035 2614 2365 NA
1999-02-04 2000-03-16 2001-11-13 -0.2000 697 282 415
2002-02-06 2002-10-29 2003-01-24 -0.0681 244 185 59
2001-11-14 2001-12-07 2002-02-04 -0.0580 55 17 38

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.7 -0.7 0 -1.5 1.5 0.8 -1.6 0 0 0 0 0 -0.8
2000 0.9 0 1.8 0.9 0 0.8 0 0 0.8 1.6 0 1.5 8.5
2001 -1.2 0.6 0.9 -0.2 -0.1 -0.5 -0.4 0.6 0.2 1.1 2.4 0.7 4.2
2002 -0.6 -0.1 -0.8 1.2 0 -0.7 -0.1 0.2 0.2 0.7 0.9 1.2 2.1
2003 2 1.1 -0.5 0.6 -0.7 -0.3 -0.4 0.4 -1 -0.7 -0.5 0 0
2004 0.1 -1.1 -0.3 1.7 -0.5 0.1 0 -1.2 -0.1 -0.4 -1.1 0.2 -2.5
2005 -0.7 -0.9 -0.2 -1.6 -0.2 -1 -1.4 0.1 1.3 -2.1 -0.9 0.5 -7
2006 0.4 -0.1 0 -1.7 -1.2 1.3 -1.4 -0.4 -0.1 0.9 0.6 0.5 -1.3
2007 0 0.4 0.1 0 -0.6 1.1 -3.3 0.9 -0.3 -1.6 1.7 0.3 -1.3
2008 -2.4 0.6 -0.5 0.4 0.5 0.1 -2.2 1.9 1.2 0.5 -8.1 4.8 -3.8
2009 -2.7 3.2 1.4 -1 -1.7 0 2.6 1.1 -0.5 -0.3 3 -0.1 4.8
2010 -0.1 1.8 -0.6 0.6 -0.5 -1.3 0.8 -2 -0.7 -1.1 -1.8 -0.1 -4.9
2011 0.1 -1.2 -1 1 -0.7 -0.9 0.9 -0.6 -0.9 -1.4 -0.1 0.4 -4.3
2012 0.3 -0.4 0.8 -0.8 -1.5 0.8 -0.4 0.7 0.4 -0.5 -0.9 1.6 0
2013 -1.5 -0.8 0 -0.1 -2.1 1.2 -1.3 0.1 -0.5 -0.5 -0.1 0.1 -5.4
2014 0.4 0 0 0.1 -0.5 -0.5 -1 -0.1 0.3 -0.1 -0.4 -1.5 -3.4
2015 0.9 -0.3 -0.6 -0.3 0.4 -0.9 0.4 0.8 0.9 -0.3 0.6 0.7 2.4
2016 0 0.9 0.4 0.4 -0.8 0 0.4 -0.4 0 -0.3 -0.7 0.3 0.2
2017 0.4 -0.4 0.4 0 -1.2 0.8 -0.3 0.2 0.2 0.8 -0.3 -0.1 0.5
2018 0.3 0.3 0.6 0.1 0 -0.2 0.1 0 0.2 -0.9 0.1 -1.3 -0.6
2019 0.4 0.3 0.2 0.4 -0.4 0.4 -0.1 0.4 0.3 0.4 0.3 0.1 2.8
2020 -0.6 -0.2 -1.7 -2.4 -1 0 -1.1 2 0.8 -0.7 0.5 -0.1 -4.6
2021 -0.3 1.4 -0.4 NA NA NA NA NA NA NA NA NA 0.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  8.69 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  8.75 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  8.75 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  8.75 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  8.69 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  8.69 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart